Bring a salt shaker with you - they'll let go if you salt them and it's not supposed to itch as badly. (I don't know if this is true about the itching - it's been a long time since I've had one on me...) But they are very ick! - I'd scream like a little girl if I found one on me.
It's one of those things - like duck itch - that come with swimming in a lake.
(Although if anyone remembers watching the movie "Stand By Me", I'll never look at leaches the same again!)